Abstract This paper studies the dynamic effects of the fiscal policy shock on private activity using an array of vector autoregressive models for the post-war U.S. data. We are particularly interested in the role of consumer sentiment in the transmission of fiscal stimulus. Our major findings are as follows. Private spending fails to rise persistently in response to government spending shocks, while they exhibit persistent and significant increases when the sentiment shock occurs. Employing not only linear but also nonlinear state-dependent VAR model estimations, we show that the government spending shock generates consumer pessimism in all phases of business cycle resulting in subsequent decreases in private activity, which ultimately weakens the effectiveness of the fiscal policy. Our counterfactual simulation exercises confirm the important role of sentiment in propagating fiscal stimulus to private spending.

中文翻译：

---

评估情绪在财政刺激宣传中的作用

摘要 本文使用一系列针对战后美国数据的向量自回归模型研究财政政策冲击对私人活动的动态影响。我们对消费者情绪在财政刺激传导中的作用特别感兴趣。我们的主要发现如下。私人支出未能响应政府支出冲击而持续上升，而当情绪冲击发生时，它们表现出持续且显着的增长。我们不仅采用线性和非线性状态相关 VAR 模型估计，表明政府支出冲击会在商业周期的所有阶段产生消费者悲观情绪，导致随后私人活动减少，最终削弱财政政策的有效性。